13-061/III - Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support

• Authors
  Cees Diks, University of Amsterdam, the Netherlands; Valentyn Panchenko, University of New South Wales, Australia; Oleg Sokolinskiy,, Rutgers Business School, United States; Dick van Dijk, Erasmus University Rotterdam, the Netherlands
• Publication date
  April 19, 2013

• Keywords
  Copula-based density forecast, Kullback-Leibler Information Criterion, out-of-sample forecast evaluation
• JEL
  C12, C14, C32, C52, C53